How to create a page that lists custom taxonomies with links?

Once you get $taxonomy you can perform further logic:

$tax = get_taxonomy( $taxonomy );

if( isset( $tax->has_archive ) && $tax->has_archive == true ) {
    // do output. archive will be wordpress_url + $taxonomy->name
    ?>
    <p>
        <a href="https://wordpress.stackexchange.com/questions/43340/<?php echo site_url( $taxonomy->name ); ?>">
            <?php echo $tax->labels->name; ?>
        </a>
    </p>
    <?php
}

This is untested, but you get the idea.