Yes. I generally prefer to use classic links with real hrefs (not "#") and bind click events in jQuery, and there I fire the needed code.
I especially had quite hard time with CJuiDateTime and modal dialogs, so I switched to direct jui datepicker code. I found it easier that way to deal with date formats and localization, and also when I need a datepicker where I don’t allow typing and still post the field/model attribute the normal Yii way (ie readonly not possible).