In a saucepan, combine the apples, apple juice, whole cloves, cinnamon, and vanilla bean over low heat.
Cook, stirring constantly, until apples just begin to carmelize.
Remove from heat and set aside.
Combine the wine and cognac in a large ceramic or glass container.
Using a small strainer, strain out cloves and vanilla bean from the apple spice mixture.
Add the apple spice mixture to the wine mixture and stir well.
Cover and refrigerate for at least 4 hours.
Serve over ice and garnish with cinnamon sticks.