GIving that alcoholic taste to yeast-leavened cakes (panettones) For the last 3 new year evenings I've tried to make panettones (both chocolate and fruit ones) and my recipe is getting better, with the last one being the first reasonably successful one. However I don't know much about yeast-leavening and there is one thing that I'm really missing on my panettones: that slightly alcoholic taste most store-bought ones have. 

What is the trick to achieve such taste or what may I be doing wrong to be missing it?

None I've ever bought - having that taste - had any kind of alcohol/beverages listed as an ingredient. Only vanilla extract and, sometimes, fake panettone flavour, which I strongly think not to be the answer. Also, I know yeast can produce alcohol, but I do not know how or "why". (I've noticed that flavor to be much more intense around the panettone fillings, for truffled and dulce de leche ones)
Yeast naturally creates alcohol from the sugars (gluten) found in bread flour. However, this probably won't be enough to leave an 'alcohol' taste, depending on the amount of yeast used and the amount of time the dough is left to leaven. You'll find that sourdough bread has more of that alcohol taste (and is also a lot fluffier) than a quick 2-hour no-knead bread, for instance.

Traditionally, the dough for Panettone is cured for a couple of days, which results in the fermentation leaving that alcohol taste you're familiar with. However, some Christmas fruit cake recipes (especially the ones in South Africa) do ask for alcohol. Although Panettone doesn't contain alcohol traditionally, you could soak the fruit pieces in liqueur overnight. This is a lot quicker than curing the dough for a couple of days. Perhaps try this recipe and see if you like it more.