I assume that you are NOT member of an danish A-kasse now.
So, for being eligible for unemployment benefits you must meet the requirements for graduates. Read more here: http://a-kasser.dk/graduates/.
One of the requirements is that you have to participate and finish an education in Denmark of duration for at least 18 months (=3 semestre). Be aware that - as the rules are now* - it is the program's actual duration, which is crucial. So, if you begin study - for example- in mid-January and goes up to the final exam at the end of June, next year, then you education only have a duration of 17 months.
*New rules from January 2, 2017
As part of the new unemployment insurance system, which comes into force January 2, 2017, the rules governing the program's actual duration probably will be changed. We expect that the new rules gives you the right to unemployment benefits, if the program is rated to 18 months. However not from earlier than 18 months after you started the education.
The law has yet to be approved.
Another requirement is that you have to stay in Denmark latest the day before starting your education and also latest 14 daysafter ending study.
You write you only finish your degree project here in Denmark - so I assume you are NOT doing all your master here in Denmark.
I think that you will be eligible for unemployment benefits in Sweden.
If you plan to stay in Denmark then you have to member for one year and also has to have some working before you are eligible for benefits (after normale rule for
Hope it helps you.