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The exhibition, at the world-famous Hermitage museum, features a crucified Ronald McDonald as well as the duo’s trademark Nazi figurines.
The museum’s director Mikhail Piotrovsky slammed the complaints and investigation as “culturally degrading to [Russian] society”.
Russia’s extremism laws have been criticised for being used to shut down free speech. Last week, a video of feminist art collective Pussy Riot’s protest in a Moscow Cathedral was categorised as extremist, and blocked on the web.