A man who police suspect is a serial killer responsible for three cold case murders is on the run in Victoria.

Police said the 39-year-old, who now lives in the Riverland region on the border of South Australia, has been linked to the murders of three people, including two grandmothers, that date back as far as 20 years.

Police have been reviewing the three murders since January, and say that after becoming aware of the fresh police focus on him, the suspect recently disappeared.

The man lived within 10 minutes of each of the three people murdered at the time each crime was committed.