Former Russian member of parliament Denis Voronenkov has been shot dead in Ukraine's capital, Kiev, according to Ukrainian authorities.

Kiev police chief Andriy Kryshchenko confirmed on Thursday in televised comments that "the identity of the dead man has been established" as the former politician.

Voronenkov had just left the Premier Palace Hotel, in central Kiev, when a man opened fire, a police spokesman said, adding that a bodyguard had managed to wound the attacker.

Voronenkov, 45, and his wife Maria Maksakova, also a former Russian politician, have been outspoken critics of Russia's leadership.

They fled Russia last year amid allegations of criminal activity and received Ukrainian citizenship.

Voronenkov was considered a witness in Ukraine's treason case against its former president, Viktor Yanukovych.