Dear All,
Every field has it's "holy grail." When I was at Christie's in the French Furniture department, three or four times a day I got calls from people who said that they had "a chair that belonged to Marie Antoinette." In three years in French, only once did it turn out to be true.
When I moved to Russian, the call changed to "I have a Faberge Egg." That was only true two or three times when someone had a miniature egg by Faberge. Once, the specialist in the department before me received shattered eggshells in the mail, with a letter asking for an insurance appraisal, since the "Anastastia Egg" had been destroyed, and the client wanted to collect insurance.
Konstantin, I am not for once second comparing you to these people. If your grandfather was a person of influence in Yugoslavia during the Soviet period, his chances of having recieved something of value from a Soviet Minister is certainly strong. I sold several paintings, pieces of silver, and bits of jewelery from descendants of Egyptian, Swedish, Korean and American diplomats who worked with the Soviets -- however, in each case, the presentation was accompanied by a letter from the Societ Government explaining what the piece was, and where it came from.
Provenance is very important to the value of the piece, and pieces which are sold with provenances "by repute" or "said to be from the collections of" are many.
Good luck with your research. I hope the Russian federation can help you. If your cross turnes out to have been Nicholas II's baptismal cross, you will have more on your hands than an antique; you will have a relic, which should be accorded the respect it deserves.
Best,
nick