Multiple Genres

Can works of different genres interact within a greater fictional reality while retaining their integrity as distinct genres? Poul Anderson made some moves in this direction but might have gone further.

A Hypothetical Multi-Genre Series
a historical novel;
a contemporary novel;
a fantasy novel;
a futuristic sf novel revealing that the fantasy was a virtual reality;
a time travel novel revealing that some of the historical and contemporary characters were disguised time travelers from the future;
a multiple timelines novel revealing that scientific and magical realms coexist in parallel timelines.

Anderson's Old Phoenix Inn was a first step. Different kinds of works could have been indirectly linked through the Inn and this would have made the valid point that very different and apparently self-contained social milieus and world-views are indeed minute parts of a greater reality.