There are gaskets - but not like in the old american cars -
these are steel o-rings, not like header flange gaskets....

It could be the exhaust bolts are just loose, or exhaust manifold gaskets, or timing.

If it's the exhaust manifold gaskets (one per cylinder),
you can usually tell by crawling under when the car is on ramps.
Look for soot/black stuff on/near the spark plug wire boot.

Exhaust Bolts - pretty easy
Each down pipe is connected to the manifold via two bolts.
My 280SE has three down pipes, thus six nuts.
These bolts (about 9/16") tend to get a little rusty.
Get you some PB Blaster, soak them and tighten them up.
On the pass side, you might have to get creative to position
your backup to hold..

Good Tool to help find the source -
2ft of 3/4" tubing - put one end to your ear, and move the other around in the area you suspect - works GREAT !