Thanks for asking about this!
If you go into Appearance > Menus, you can select event categories to add to your nav menu or a secondary menu and drag and drop to create a hierarchy – some themes come with the rollover effect and will display child menus as you hover over the parent. If not, you’d need to add a little JavaScript to get this effect.
If you’re looking to create this outside of one of your WordPress menus, unfortunately there isn’t currently an “out of the box” way to create a menu like you’re talking about – some customizations would be required to make that work.
While we are not currently able to offer customizations, we do have a themer’s guide with great info to help get you started! We’ll be here to answer questions and help point you in the right direction, so feel free to reach out if you get stuck!
I would also recommend taking a look around at some plugins that might help you do this easier…for example, this one lets you display menus around your site with shortcodes.
I hope that helps! Let me know if you have any more questions.
Thanks,
Jennifer