Musannaf Ibn Abi Shayba 37:392

Abu Bakr narrated to us, he said: It was narrated to me from Rawh ibn ‘Ubadah, from Ibn Abi ‘Arubah, from Abu al-Tayyah, from al-Mughirah ibn Subay’, from ‘Amr ibn Hurayth, from Abu Bakr, from the Prophet (may Allah bless him and grant him peace), he said: "The Dajjal will emerge from Khurasan."