The ground state of an elastic interface in a disordered medium undergoes collective jumps upon variation of external parameters. These mesoscopic jumps are called shocks, or static avalanches. Submitting the interface to a parabolic potential centered at w, we study the avalanches which occur as w is varied. We are interested in the correlations between the avalanche sizes S_{1} and S_{2} occurring at positions w_{1} and w_{2}. Using the functional renormalization group (FRG), we show that correlations exist for realistic interface models below their upper critical dimension. Notably, the connected moment 〈S_{1}S_{2}〉^{c} is up to a prefactor exactly the renormalized disorder correlator, itself a function of |w_{2}-w_{1}|. The latter is the universal function at the center of the FRG; hence, correlations between shocks are universal as well. All moments and the full joint probability distribution are computed to first nontrivial order in an ε expansion below the upper critical dimension. To quantify the local nature of the coupling between avalanches, we calculate the correlations of their local jumps. We finally test our predictions against simulations of a particle in random-bond and random-force disorder, with surprisingly good agreement.