"Ynglinga saga" claimed that Asgard was in Asia, to the east from the Don (Tanakvisl) river:

Fyrir austan Tanakvísl í Asía var kallat Ásaland eða Ásaheimr, en höfuðborgin, er var í landinu, kölluðu þeir Ásgarð. En í borginni var höfðingi sá, er Óðinn var kallaðr
.
The country east of the Tanaquisl in Asia was called Asaland, or Asaheim, and the chief city in that land was called Asgaard. In that city was a chief called Odin