Most likely its the exhaust manifold to head. It's not a fun job to replace, so you might as well gear up to do a few other projects while you're in there. Replace the exhaust manifold to turbo gasket, the 2 oil gaskets and 1 water gasket on the turbo as well.
EGR cooler is a possibility it's just very unlikely. When the car is cold start it up and immediately start feeling around the exhaust for gusts of air. You won't get much time before it's too hot, but it should be enough to get a general idea. Depending on how clean your engine bay is you might be able to just look for the black areas. Exhaust leaks usually leave big black streaks in the area they occur.
