Not exactly in the way you want, but something similar: You can make an instance of the Events module show the events from another instance. Both instances can be configured independently.

So you can have a small calendar (e. g. in list view) on one page, that shows the events from another calendar (e. g. in month view) on another page. Then when you click on an event in one of the calendars, it will show the events detail page. So this won't link both calendars directly - they only will share some events. (But of course you can add a link manually in a Text/HTML module)
 
To make the small calendar use the big one's events, go to the Event Module Settings > SubCalendars Settings of the small calendar, check "Include Other Site Event Modules?" and add the big calendar from the drop down list.