I'm assuming you're talking about footnote or bibliography cross-linking. So if, while reading BookOne you find a citation to BookTwo, you could click on that link and have BookTwo load (preferably to the indicated area), right?
As far as I know, nothing of the kind is available.
Nor am I sure that it could be done because it would require being able to alter links on the fly, throughout all the books in the library, if you change the title or author (ie, the structure calibre uses to store the book) to prevent a "file not found" error.
At that point you've exceeded the abilities of calibre and are approaching
Content Management System (CMS) software.