Core the peppers and cut into ½ in by 2 in strips. In a heavy-bottomed saucepan, heat olive oil over medium heat. When hot, add garlic, parsley, capers and anchovy paste and cook 2-3 min, stirring to break up anchovy. Add peppers and stir to coat. Lower heat and cook, covered, until peppers are thoroughly softened, about 20 min. Stir often because peppers scorch easily. When peppers are soft, uncover pan and cook until most of liquid is driven off. Season with salt, pepper and lemon juice. (Peppers may be made ahead of time and refrigerated up to 3 days.)
For the halibut:
Preheat oven to 400°. Cut a slit in the top of each fillet and season with salt and pepper. Fill each fillet with about ¼ c of the pepper mixture. Place stuffed fillets in a shallow roasting pan and bake for 10-15 min until done, depending on thickness. Baste fish midway through the cooking process with pan drippings.