Police say Madsen acknowledged he dismembered her body and threw it into Koge Bay southwest of Copenhagen. Madsen denies the accusations, and volunteered to extend his custody through November 15.
Madsen has now changed his story to say Wall died of carbon monoxide poisoning while on board, police said in a statement on Monday.
She was a promising young journalist, tested in trouble spots throughout the world, reporting on a Danish inventor famed for building what was thought to be the world's largest private submarine.
Madsen denies the murder and sexual assault charges.More news: THOR: RAGNAROK Actor Cast as SHAZAM!
Her boyfriend raised the alarm the next day when she did not return from the trip.
Investigators believe he had sabotaged the vessel despite his assertion that it had suffered a technical fault.
He also changed his account of her death to claim she was killed by carbon monoxide poisoning. He said that she died from exposure to the gas below deck, while he was above deck.
Her headless torso was found floating in Koge Bay off Copenhagen on August 21, and her head, legs and clothes were recovered in plastic bags in the same waters on October 7.
He said he had been holding the hatch for Wall as they sailed in the strait between Denmark and Sweden.More news: Charges filed in Mueller investigation into Russian meddling
The police said in a statement Madsen had told them in an October 14 interrogation that Wall, 30, had died from carbon monoxide poisoning inside the submarine, while he was on the deck of the vessel.
The police said they would now extend the charges against Madsen - which already include murder and mutilating Wall's body - to include sexual assault without intercourse, based on 14 interior and exterior stab wounds to the journalist's genitals.
Locating Ms Wall's head had been crucial to investigators, as the final autopsy on the torso had been unable to establish the cause of death.
A hard drive with images of women being decapitated alive was allegedly found in Madsen's laboratory, according to the BBC. Prosecutor Jakob Buch-Jepsen said the videos are thought to be real.
Police have finished an unsuccessful search for the phones of Madsen and Wall in the past weeks but said they are mulling reactivating that search if needed.More news: Amazon's stock is skyrocketing after a blockbuster post-Whole Foods earnings
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