Exceptions inside exceptions in C++

When working with C# or Java, I used to create exception classes that included other exceptions as class members. For instance:

public class MyException : Exception {
    private MyException ex;
    private String message;

    public String what() {
        return this.message;
    }

    public String stack() {
        if(ex != null) {
            StringBuilder s;
            s.append(this.what());
            s.append(this.ex.stack());
            return s.toString();
        }

        return this.what();
    }
}

I was looking for examples on the same subject but for C++ and I couldn't find any (maybe I didn't search for the right terms, as you can see the title of this question is not very fancy).

Anyway, what is the correct way of doing that in C++? Is it to store the inner exception as a pointer or a reference? (I think I might need a pointer so it can be null when it's the first exception). When I raise the exception, should it be as a pointer created with new?

EDIT: Maybe what I wrote was a little confusing or not a well-known (-accepted) programming practice. So I'll specify how I intended to use this class with a snippet:

 try {
     // Code that throws an exception of type MyException
 } catch(MyException ex) {
     MyException another = new MyException();
     another.setEx(ex);
     another.setMessage("A message that explains where the other exception was caught and on what conditions");

     throw another;
 }