Preheat the oven to 140°C/275°F/gas mark 1. Cut open the pepper, discard the seeds and stem and then chop the flesh very finely. Chop the capers very small and mix in a bowl with the yellow pepper, mace and cayenne pepper. Add a sprinkling of salt and stir to mix all together. Lay out the herring fillets flesh-side up and spoon the yellow pepper mixture evenly all over each one, patting it down. Loosely roll up the fillets and place them in a single layer in a shallow ovenproof dish. Sprinkle with the green peppercorns and a little more salt. Pour on the strained lemon and orange juice and then the olive oil. Cover the dish with foil. Cook in the centre of the oven for 1½ hours. Take out of the oven, remove the foil from the dish and leave to cool. Before serving, roughly chop the parsley and scatter it over the herrings.