BANGKOK—An explosive device thrown at antigovernment demonstrators killed one person and injured 35 others in the Thai capital Friday, as a week of protests that started out resembling a carnival more than a political rally took a violent turn.

At least one protester died as a result of the blast, according to the Bangkok city government's emergency-response unit. Police said it was caused by a device lobbed at the crowd as it marched with protest leader Suthep Thaugsuban near Chulalongkorn University in the center of town.

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