A distraught debtor shot and killed his wife and two daughters in a Moscow apartment to spare them the burden of his financial misery, the Interfax news agency reported, quoting a police source.

The man, identified as Yuri Merkind, then boarded a train and headed more than an hour out of Moscow before surrendering himself and his pistol to police in Vladimir, about 190 kilometres east of the capital.

"He didn't want the family to become hostage to his financial difficulties and debts," said the police source, who spoke on condition of anonymity because the investigation is ongoing.

"It seems that he had initially intended to commit suicide after shooting his wife and children, but for some unknown reason he renounced this plan and took flight."

Investigators found many receipts of debts owed in the apartment as well as a note apparently written by Merkind on which he wrote: "We voluntarily left this life."

The bodies of Merkind's wife and daughters, aged 6 and 16, were discovered on Saturday by his son, who was on home leave from the military, investigators said. A silencer was reportedly found in the trash outside the building.

Merkind's profession is unclear. The family lived for a time in Israel, but recently moved back to Moscow where Merkind did not appear to be living with his wife and daughter, RIA Novosti quoted neighbors as saying.

"This was a savage and brutal crime and we are working to uncover the details," the head of Moscow's investigative committee Anatoly Bagmet said on Russia's Channel One television.