Sometimes the ad is an iframe and other times the browser loads the ad’s code in a sanitized environment. These are more rare probably because they are more expensive and must be screened properly; to ensure they are not using some kind of exploit to do something malicious to the end user.
Flash was a major proponent of interactive advertisements in the 06-11 era but, as you can imagine, security flaws were way too evident to be worth the risk.
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