The SPARQL FAQ mentions the following feature:
A very limited form of subqueries can be achieved using SPARQL engines, which will perform HTTP GETs on charts named in FROM or FROM NAMED clauses by creating a URL consisting of a built-in SPARQL CONSTRUCT request sent to the SPARQL endpoint and submitting this URL addresses as part of the requested RDF dataset. In practice, this method is often inefficient and subject to possible restrictions on the maximum URL length of the software involved.
The W3C wiki also mentions other possible workarounds.
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