Witnesses say the man was watching football on television
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The man held for the murder of Swedish Foreign Minister Anna Lindh has denied any involvement in her death.
"I just met my client and during the hearings he said he had nothing to do with the murder of Anna Lindh," said Gunnar Falk, the lawyer for the suspect, who has yet to be identified.
Ms Lindh was stabbed several times in a department store in the capital Stockholm a week ago, and died in hospital the next morning.
An official memorial service will be held for her on Friday and she will be buried in a very private ceremony on Saturday, the foreign ministry announced on Wednesday.
'Open-mind'
Swedish police apprehended the suspect on Tuesday night in a restaurant near the Rasunda football stadium in Solna, a suburb of Stockholm
But - despite describing the arrest as a breakthrough - they have stressed the man is not their only suspect.
"They don't want to lock the target on a specific person," police spokeswoman Tina Gustafsson told news agency Associated Press.
She said detectives were keeping "an open mind", and that five other people were also being investigated.
Suicide watch
Jail officials said the 35-year-old suspect is under 24-hour suicide watch at police headquarters in Stockholm, reported AP news agency.
His DNA and fingerprints are being compared with evidence from the crime scene.
Police questioned him for several hours on Wednesday. He can be held for up to three days before a prosecutor must decide on possible further legal action.
The BBC's Lars Bevanger says police still have not specified whether the man in custody is the same as the one seen on security camera footage from the department store where Anna Lindh was killed.
Shocked
Ms Lindh's murder shocked a country used to seeing its leading politicians travel without bodyguards.
Police have been under massive pressure to find the culprit and had put out a nationwide alert in a bid to track him down.
They are anxious to avoid a repeat of the failure to solve the 1986 murder of Prime Minister Olof Palme, which happened only a few blocks away from the scene of the Lindh murder.
In that case, the murder weapon was never found and a man convicted of the crime was later freed on appeal.