Hypercomplex neural networks have proven to reduce the overall number of parameters while ensuring valuable performance by leveraging the properties of Clifford algebras. Recently, hypercomplex linear layers have been further improved by involving efficient parameterized Kronecker products. In this article, we define the parameterization of hypercomplex convolutional layers and introduce the family of parameterized hypercomplex neural networks (PHNNs) that are lightweight and efficient large-scale models. Our method grasps the convolution rules and the filter organization directly from data without requiring a rigidly predefined domain structure to follow. PHNNs are flexible to operate in any user-defined or tuned domain, from 1-D to n D regardless of whether the algebra rules are preset. Such a malleability allows processing multidimensional inputs in their natural domain without annexing further dimensions, as done, instead, in quaternion neural networks (QNNs) for 3-D inputs like color images. As a result, the proposed family of PHNNs operates with 1/n free parameters as regards its analog in the real domain. We demonstrate the versatility of this approach to multiple domains of application by performing experiments on various image datasets and audio datasets in which our method outperforms real and quaternion-valued counterparts. Full code is available at: https://github.com/eleGAN23/HyperNets.