Other stories would establish links to real life as well - The Haunter of the Ring, set in the modern age, contains a Hyborian artifact, and Kings of the Night brings King Kull forward in time to fight the Roman legions.
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As well as-supposedly-the setting for the stories by author Robert E. Howard about the character he created named Conan the Barbarian-which portray it-as part of what is called The Hyborian Age-which in turn-is like a "Fantasy Version of Earth".