I would say you might burn a few more calories when exercising in the cold (room or outside), but not enough to make a difference. That's only my guess, however. We get pretty cold winters up here, but I sure don't lose any more weight as compared to the other seasons.
I would place it in the same category as exercising in sweats, so that you sweat more. Just because you sweat out more fluid doesn't mean you are burning more calories.
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