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Mix together the yogurt and 2 tablespoons honey in a bowl until blended.
Stir together 1/4 cup water, the sugar, remaining honey, zest, cinnamon, star anise and vanilla bean in a saucepan over medium heat. Add the plums and peaches and cook until saucy and tender, 8 to 10 minutes. Remove from the heat and chill until cold.
Layer the stewed fruits and yoghurt in a tall glass. Finish with a dollop of yoghurt, garnish with walnuts and drizzle with honey.