Place the chicken in a bowl sprinkle with the thyme and season liberally with salt and pepper. Cover and refrigerate.
Make the sauce by pouring 3 tablespoons of olive oil into a heavy based saucepan over medium-high heat. Sauté the onions, bay leaves and garlic for 5 minutes or until the onions soften. Reduce heat to low-medium. Add the capsicum, stir, then cover and cook for 40 minutes, stirring occasionally. Add the tomatoes, stir and cook for a further 15 minutes. Add the sherry and cook uncovered for 15 minutes to evaporate the alcohol. Add chicken stock, turn heat to high, and when boiling, reduce the heat to low, add the paprika and simmer the sauce for 30 minutes.
Preheat the oven to 180°C /160°C fan.
While the sauce is cooking h eat the remaining oil in a large, heavy based frying pan over high heat. Cook the chicken in two batches, 4 minutes each side or until golden. Spread the chicken in a large roasting pan and cover with enough sauce to cover the chicken. Cook in the oven for 1-1½ hours. The sauce will reduce and form a dark crust. The dish is ready when the chicken comes away from the bone under a little pressure of a fork.
