What are some reference sources for understanding Markov switching models?
Firstly, for understanding the Markov switching models, a nice knowledge of Markov models and the way they work. Most importantly, an idea of time series models and how they work, is very important.
I found this tutorial good enough for getting up to speed with the concept.
This is another tutorial on a similar application of the switching model, which is the regime switching model.
The statsmodels library has a nice support for building the Morkov switching models.
Here is one simple and quick Python tutorial which uses the statsmodels library.