Reference : Hisn al-Muslim 26

يَدْعُو لِنَفسِهِ بَيْنَ الْأَذَانِ وَالْإِقَامَةِ فَإِنَّ الدُّعَاءَ حِينَئِذٍ لاَ يُرَدُّ
Between the call to prayer and the 'Iqamah, you should supplicate Allah for yourself. 
Invocation during this time is not rejected.

Reference:
At-Tirmidhi, Abu Dawud, Ahmed. See Irwaa Al-Ghalil 1/262

Chapter: Concerning the athan (the call to prayer)