Yes, they do.

See this example of a customer's magazine with some links on the page that opens up:
http://www.scale-magazine.com/current/index.html#/136

Go to fullscreen with F11 (works on Windows with the latest versions of Chrome, Firefox, Opera. But not with Safari).
On that page you'll find links to

• a website
• email
• a subscription page
• Facebook

You will realize that those links get highlighted when you hover over; and work and open a new window.

When you click, fullscreen mode will be terminated and you had to hit F11 again to go back to fullscreen mode.