UP TO ONE WEEK AHEAD:
Heat oven to 350 degrees. Combine the cranberries, lemon and orange zests, shallots, and sugar in a large bowl and mix thoroughly. Turn into a 3-quart glass baking dish and drizzle over the orange juice. Bake, stirring occasionally, until the sugar is dissolved and a few berries have popped open, about 30 minutes. Remove from the oven, let cool thoroughly (the pectin in the excess liquid will firm up when cool), cover, and refrigerate.