Using a vegetable peeler, remove the peel of the lemon and orange, being careful not to pick up any of the bitter white pith from the fruit.

Cut the peel into strips and combine in a large pot with the wine, sugar, cinnamon sticks, vanilla bean, cloves, peppercorns, sliced ginger, nutmeg, and star anise.

Bring to a simmer over low heat and let simmer gently for about 20 minutes.

Strain and serve warm.