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Make the stew a couple of days ahead; chill. It can also be frozen. You can make the gremolata the day before.
Preheat the oven to 180°C, fan 160°C, gas 4. Place a large casserole dish over a high heat and add 2 tablespoons of olive oil. When smoking hot, add some of the oxtail pieces and fry on all sides for 4-5 minutes, browning well. Don’t sear too many pieces at once or they will boil in their own liquid rather than fry. As the oxtail browns, transfer it to a colander over a plate and leave to drain off excess fat.
Remove most of the fat from the dish and add the shallots, carrots and garlic. Return to a medium heat and cook, stirring occasionally, for about 10 minutes, until the vegetables are golden.
Add the wine and scrape the base of the casserole with a wooden spoon to mix in any flavoursome bits. Bring to the boil and simmer for about 5 minutes until almost evaporated. Add the tomatoes. Tie together the thyme and rosemary sprigs with string and drop them in, then add the orange zest, bay leaves, cinnamon, star anise, 1 teaspoon of freshly ground black pepper and some salt. Return the oxtail to the sauce and bring to a simmer.
Long, slow cooking on the bone imparts a magical flavour and the warm, hearty flavours get a kick of freshness at the end from a parsley, garlic and citrus gremolata.
Cover first with a circle of baking parchment, placed directly over the stew, and then with a tight-fitting lid, then, in the preheated oven, cook for 2½-3 hours. The meat is ready when it comes away from the bone easily. Lift the oxtail from the sauce, place in a large bowl and leave to cool slightly. Discard the herbs, spices and orange zest from the sauce.
When the oxtail is cool enough, pick the meat from the bones (discarding any excess fat that may have accumulated) and return it to the sauce, along with the pumpkin or squash and 300ml of water. Bring to the boil, reduce the heat to a gentle simmer and cook, covered, for 30-40 minutes or until the pumpkin is soft. Season to taste.
To make the gremolata, mix together the parsley, lemon zest and garlic; set aside. Transfer the stew to a warm serving bowl. Before serving, sprinkle over the gremolata.