The entire series of Shadows of a Phoenix is a frame story, also known as a frame narrative, a frame tale or a story within a story. Such frames involve a narrator or character in another setting to tell a story that has taken place in a different time and place.
There are many examples of these frame works including in movies like The Princess Bride, The Never-ending story, but the more memorable one would be from Titanic.
The old lady tells her tale to those onboard the salvage vessel and then the movie goes back in time to her youth. Only a few times does the story return to elder years, showing the effects the experience has on her, yet the movie starts and ends with the old lady.
A story within a story.
Some famous literature that are frame stories are:
Frankenstein by Mary Shelley
The Canterbury Tales by Geoffrey Chaucer
Wuthering Heights by Emily Bronte