Denis Voronenkov was killed in the Ukrainian capital of Kiev at noon today, the city's police chief Andriy Kryshchenko said.
His body was also injured in the attack.
The former Russian MP was shot dead at the Kyiv Premier Palace Hotel, something he had previously said he feared would happen.
He was in Kiev to testify against former Ukrainian President Yanukovych, an ally of Russian President Vladimir Putin.
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