A bomb exploded in a busy shopping district on Sunday, wounding at least 22 people near an anti-government protest site.

A four-year-old boy, his six-year-old siste and a 59-year-old woman were killed in the blast.

Some others children are still in critical condition. A nine-year-old boy was in intensive care in hospital with severe head injuries.

Thayakorn Yosubon, the father of a pair of siblings killed in a bomb blast near an anti-government protest site on Sunday, mourns next to their bodies being prepared for a funeral at a Buddhist temple in Bangkok February 24, 2014.

The six-year-old sister of a boy killed in a bomb blast in the Thai capital died on Monday, doctors said, taking the death toll to three from the latest incident in a conflict that has burst into episodic violence and shows no sign of ending.

The father who lost his children to Sunday's grenade attack says he is engulfed in pain, but feels no anger against the attackers who were apparently targeting the anti-government rally site.

"I am suffering the deepest pain, but have decided to forgive," Thayakorn Yos-ubol said tearfully.

His two children, Korawich and Patcharakorn, were not among the demonstrators

They had simply gone shopping with their aunt and cousin when they were hit by a grenade that landed in front of Big C shopping mall on Rajdamri Road on Sunday afternoon.

"I can't cope with what has happened. My children were so pure and innocent. I really don't know how long it will take for this wound in my heart to heal," the devastated father said.

Thayakorn went on to say that he had a simple dream for his children - he just wanted them to grow up and become good members of society.

Noppawan Chairat (2nd R), the mother of a pair of siblings killed in Sunday's bomb blast near an anti-government protest site, mourns during their funeral at Buddhist temple in Bangkok February 24, 2014.

People pay respect next to the bodies of a pair of siblings killed in a bomb blast near an anti-government protest site on Sunday, during their funeral ceremony at a Buddhist temple in Bangkok February 24, 2014.

Relatives of a pair of siblings killed in a bomb blast near an anti-government protest site on Sunday, mourn as family members arrive to collect bodies from a hospital in Bangkok February 24, 2014.

"But now my dream is dead," he said as he hugged his wife while waiting to pick up their children's bodies. Both children were pronounced dead at Ramathibodhi Hospital - the place they were born.

"This is a tragedy," the hospital's director Dr Surasak Leela-udomlipi told the press.

Korawich passed away on Sunday evening, while his sister succumbed to injuries on Monday morning. Their nine-year-old cousin, Yothin Cha-aemram, is under intensive care at the same hospital.

A relative pours water over the hand of a child killed in a bomb blast near an anti-government protest site on Sunday, during a funeral at a Buddhist temple in Bangkok February 24, 2014.

Relatives of a pair of siblings killed in a bomb blast near an anti-government protest site on Sunday, mourn during a funeral at a Buddhist temple in Bangkok February 24, 2014.

Yothin's mother Nareerat Chairat wished she had been hit instead of the children.

"Better me than my nephew, niece and son," the distraught mother, who was in a wheelchair, said.

She also sustained injuries from the blast, but they are not very serious.

Nareerat said she and the children were about to hail a tuk-tuk to head back to Thayakorn's home when the grenade suddenly landed in their vicinity and exploded.

Nareerat (R), the injured aunt of six-year-old Patcharakorn Yosubon, the victim of a bomb blast, breaks down as she performs the last rites on the body of her niece at a Buddhist Temple in Bangkok on February 24, 2014

"I wish it was just a bad dream," she lamented.

Thayakorn, however, said he hoped all sides would learn from this and bring an end to the chaos.

He said his focus was on holding his kids' funeral rites, which will be held at Phrom-wongsaram Temple (Wat Luang Phor Nane).

The parents of two children who were killed in a bomb blast near an anti-government protest site on Sunday mourn as family members arrive to collect bodies from a hospital in Bangkok February 24, 2014.

A mourner pays respect to 6-year-old Patcharakorn Yosubon, the victim of a bomb blast, during the last rites being performed at a Buddhist Temple in Bangkok on February 24, 2014.

Mourners pour water on the hands of the bodies of 6-year-old Patcharakorn Yosubon (R) and her brother, 4-year-old Koravitch Yosubonis (L), victims of Sunday's bomb blast during the last rites performed at a Buddhist Temple in Bangkok on February 24, 2014.

Family members of blast victims six-year-old Patcharakorn Yosubon and her brother four-year-old Koravitch Yosubon cry during last rites, at a Buddhist temple in Bangkok on February 24, 2014.