Does $\bigcap_{n=1}^{+\infty}(-\frac{1}{n},\frac{1}{n}) = \varnothing$? When I learn the below theorem:
If $I_n$ is closed interval, and $I_{n+1} \subset I_n$, then $$\bigcap I_n \ne \varnothing$$
and someone says if we replace closed interval with open interval, can construct counter-example. 
So I have tried to construct the one: Does $$\bigcap_{n=1}^{+\infty}\left(-\frac{1}{n},\frac{1}{n}\right) = \varnothing\quad?$$
Thanks very much.
 A: No. As others have mentioned, it contains $0$.
But consider $I_n = (1-\frac{1}{n},1)$. Or, more closely to your example, $I_n = (0,\frac{1}{n})$.
A: No. It is not empty. Since $0\in (-1/n, 1/n)$ for all $n$, so $0\in\bigcap_{n=1}^\infty \left(-\frac{1}{n},\frac{1}{n}\right)$.
A: $\bigcap_{n=1}^\infty \left(-\frac{1}{n},\frac{1}{n}\right)=\{0\}\neq\emptyset$.
A: No, it is not empty, but in fact, if $I_n$ is closed and $I_{n+1}\subseteq I_{n}$, that is not enough to ensure that $$\bigcap_{n=1}^\infty I_n\neq\varnothing.$$ As an example, take the closed intervals $[n,\infty)$. In order for what you have written to hold true, one needs that at least one of the $I_n$ is bounded.
Finally, as others have pointed out, the intersection of open sets you have is nonempty since $0\in\left(-\frac{1}{n},\frac{1}{n}\right)$ for all $n\in\mathbb{N}$. As a counterexample, one can consider $$\bigcap_{n=1}^\infty\left(0,\frac{1}{n}\right).$$
A: As you already have a bunch of nice answers to your question, I just wanted to comment on the relation with the theorem you have referred to. Note that $J_n\subset I_n$ where $J_n = [-\frac{1}{2}n,\frac{1}{2}n]$ and thus we know that $\bigcap\limits_n J_n$ is not empty. However, $\bigcap\limits_n J_n\subset \bigcap\limits_n I_n$ and the latter is hence non-empty as well.
A: NO!
$$\bigcap_{n=1}^{+\infty}\,\left(-\frac{1}{n},\frac{1}{n}\right)\,\neq\, \varnothing$$
WHY NOT?: Note that as $\,n \to \infty,\,$ the endpoints of the intervals get increasingly close to $\,0$, but never reach $0$, hence every interval contains $0\,$:
$$\;0 \in \left(-\dfrac1n, \cfrac1n\right)\;\; \forall n \in \mathbb{N}.$$
Indeed, 
$$\bigcap_{n=1}^{+\infty}\,\left(-\frac{1}{n},\frac{1}{n}\right) = \{0\}.$$

You might be interested to know that, e.g., $$\bigcap_{n=1}^{+\infty}\,\left(0, \frac1n\right)\,=\, \varnothing$$ It' simply a matter of choosing the correct endpoints of the open intervals.
A: The theorem also requires that the diameter of the sets $A_n$ go to zero
$$\mathrm{Diam}A_n= \sup_ { x,y \in A_n}  |x-y| $$
for example take $B_n = [n,\infty)$ it is easy to verify
$$\bigcap _ {i=1}^{\infty}B_n= \not 0 $$
A: By definition of intersection, a $x\in\displaystyle\bigcap_{n\in\mathbb{N}\backslash \{0\}} \left(-\frac{1}{n},+\frac{1}{n}\right)$ if, only if, $x\in \left(-\frac{1}{n},+\frac{1}{n}\right)$ for all $n\in\mathbb{N}\backslash\{0\}$. And $\displaystyle 0\in\left(-\frac{1}{n},+\frac{1}{n}\right)$ for all $n\in\mathbb{N}\backslash\{0\}$. Then 
$$
0\in\displaystyle\bigcap_{n\in\mathbb{N}\backslash \{0\}} \left(-\frac{1}{n},+\frac{1}{n}\right).
$$
If $x\in \left(-\frac{1}{n},+\frac{1}{n}\right)$ for all $n\in\mathbb{N}\backslash\{0\}$ then $-\frac{1}{n}<x<+\frac{1}{n}$ for all  $n\in\mathbb{N}\backslash\{0\}$.
By Archimedean property or Supremum Axiom we have that $x=0$.  Then
$$
\{0\}=\bigcap_{n\in\mathbb{N}\backslash \{0\}} \left(-\frac{1}{n},+\frac{1}{n}\right)
$$
