no its not possible to receive Unemployment benefits as a student.
However it is possible to participate in some limited kind of education while you are receiving Unemployment benefits. But the eduaction must not qualify for SU, and furthermore the education must be less than 20 hours per week.
I assume you are studying on a normal full time study, and therefore you will not be able get Unemployment benefits during your study.
Regarding the 20 hour limit it is not important how many hours you use, but how many hours per week the education is meant to take.
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Anders Weber, www.a-kasser.dk