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A shofar needs to come from a kosher animal but not from an ox, since its horn is solid (it's a "keren" not a "shofar"). Also, the kosher animal need not be ritually slaughtered in order for its horn to be used. In terms of a source see Mishneh Berurah, on Orach Chaim, sec 586, par. 1, sub-par. 8.
Rabbi Lazer Danzinger for Chabad.org