/...a filter that is indicated for shooting in the snow...

First of all, I wouldn't use a yellow filter unless you want your entire video to have a yellow tint to it.
An ND (neutral density) filter will help to knock down the levels on a bright day. Whether to go with a 1, 2 or a 3 stop filter will depend on the brightness at the moment.
I'd also consider a UV, sky or haze filter as well. A UV filter is something you might want to leave on permanently. It won't affect indoor shooting and doubles as a protector for your lens.
A polarizer would also be a help - but there is a gotcha to be aware of. On a still camera, you set the focus, adjust the polarizer as desired and you're set. With most video cameras, unless you're using a matte box like Grazie does, the screw-on filter will continually rotate as the focus changes which will negate the desired effect.
You didn't say what kind of camera you're using but, if it's a consumer type, you may be able to use the filter holder mount from Cokin. Check the rest of their site for a lot more filters, shades, etc.
Cafe Cokin's filter guide hasd several before & after examples of how different filters affect the image.

Mike