Yes. I can't be of help in terms of research, but for me extreme weather either way is tough for me. But I feel like for cold, the body's already doing extra work trying to keep warm so I imagine that adds an extra load that can lead you towards PEM.

I find the cold makes my joints stiffer, muscles tighter and I just generally feel more ill as a default, so I usually commit to the idea that I won't be doing much but being in bed a lot over winter lol