Amalienborg is the winter residence of the Danish royal family. Well, actually the royal palace is not one, but four different palaces flanking a square. The four palaces where built by four noble families in the middle of the 18th century on direct orders by the king Frederik V.
The King needed a new royal palace but he didn't want to pay so the four families were given tax immunity for 40 years as token for their services to the crown. In 1794 the royal family moved into the four palaces around the square which is considered to be one of the great masterpieces of Rococo architecture in Europe, and definitively the best one in Denmark. The statue in the middle of the square was sculptured by the French artist Saly.
Every day at noon, you can watch the change of guards in the court yard. When HM the Queen is in residence, the ceremony is called The King's Watch (Kongevagt) and the guards are accomopanied by the Royal Guards music band. The route, that starts at 11:31 at the barracks, goes: Rosenborggade, Købmagergade, Østergade, Kongens Nytorv, Bredgade, Sct. Annæ Plads, Amaliegade, and Amalienborg.
If one of the Royal Princes is residing at the palace in the capacity of regents, the parade is called The Lieutenant Watch, and drums and flutes will be heard.
In other cases (when the palace is not inhabited or the princes are at home but not in the capacity of regent) the Guards march through Copenhagen without music accompaniment, and the route is shorter. This watch is called The Manor Watch.