Cascade handles links differently depending on the link destination type.
Internal / asset links
Internal links point to assets within Cascade and are defined using asset choosers.
While Cascade may allow you to select an asset in a different Cascade site, doing so is not recommended. Use external / URL links in these cases for best results.
Some special benefits of using internal / asset links are:
If you move the destination asset, Cascade will follow it and update any links to it automatically (republishing required).
You can determine which assets link to a particular asset by using the Relationships feature.
External / URL links
External links are those that point to some destination on the web that is not part of your site. They are defined using simple text fields. Nothing special here.
