Yes, each report supports a skip parameter which you can pass on the command line, -Dpmd.skip=true and -Dcpd.skip=true respectively.
First make sure that the linkXRef parameter is configured correctly (it is switched on by default).
Then, the jxr plugin has to run first so that the links can be picked up by the pmd report. If you run from the command line, use mvn jxr:jxr pmd:pmd, or if you want the reports generated by the site plugin, configure the jxr plugin in your reporting section, see JXR usage.