Istanbul, Turkey (CNN) Turkish President Recep Tayyip Erdogan said Saudi Arabia should prove that missing Saudi journalist Jamal Khashoggi has, in fact, left the Saudi consulate in Istanbul.

"He entered the general consulate himself and if he has entered by himself and if he did not exit it, of course this should be proven by the general consulate," Erdogan said at a press conference in Budapest.

Erdogan said the Saudi consulate should have CCTV cameras and should be able to show the video of Khashoggi leaving the building. He mentioned that there are no documents or evidence that show the journalist departing.

The Justice Ministry and the chief prosecutor in Istanbul "started an investigation and efforts are continuing," Erdogan said. Airport entrances and exits are being investigated.

"At the moment there are certain people who arrived from Saudi Arabia. And our chief investigator is investigating everything in this matter."

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